Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 12: Macro and Micro Economic Models

AKSOE 12.4: Vortrag

Dienstag, 8. März 2005, 18:00–18:30, TU P-N203

Asset Price and Wealth Dynamics with Heterogeneous Expectations under a Market Maker Scenario — •Florian Heitger — Institut fuer VWL, Lehrstuhl fuer Geld, Waehrung und Int. Finanzmaerkte, Olshausenstr. 40, 24118 Kiel

The asset price model of Brock and Hommes (1998) is a prominent example of a behavioral model of financial markets in discrete time and considers heterogeneous economic agents who are faced with a standard asset allocation problem in each trading period using a traditional utility maximization scheme. The heterogeneity of agents is expressed in terms of different perceptions on the expectations of future price movements on the risky asset. A modified variant on that framework is proposed by Chiarella and He (2001) and assumes a more realistic type of utility function which generates both growing price and wealth processes. The model can be formulated as a stationary model in terms of the return on the risky asset and the wealth proportion among heterogeneous investors.
Within this framework we consider a slightly different model setup under a Market Maker scenario which uses the main ideas of both the BH and the CH model, but, which, however, overcome some of the main inconsistencies (and unrealistic assumptions) detected in the original models (e.g. refering to a correct expectation formation of the heterogeneous agents at the fundamental price level).